Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0009
Annualized Std Dev 0.1534
Annualized Sharpe (Rf=0%) 0.0060

Row

Daily Return Statistics

Close
Observations 5326.0000
NAs 1.0000
Minimum -0.0934
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0046
Maximum 0.0705
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0097
Skewness -0.3485
Kurtosis 6.8278

Downside Risk

Close
Semi Deviation 0.0070
Gain Deviation 0.0069
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.4072
Historical VaR (95%) -0.0144
Historical ES (95%) -0.0236
Modified VaR (95%) -0.0154
Modified ES (95%) -0.0286
From Trough To Depth Length To Trough Recovery
2004-03-02 2008-11-20 2011-12-23 -0.4072 1880 1119 761
2013-02-15 2020-03-23 NA -0.4024 2008 1759 NA
1999-02-25 1999-12-22 2002-05-14 -0.2355 703 185 518
2003-06-18 2003-09-02 2004-02-18 -0.1247 157 51 106
2012-10-22 2012-12-28 2013-02-13 -0.1059 77 46 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.8 -1.3 0.8 -0.9 0.9 0 -1.3 -0.5 0 0 -0.5 -3.5
2000 0.5 -1 0 0.5 0.5 -1 0 -0.5 -0.5 -0.5 -1.5 2.5 -1
2001 0.5 0.2 0.6 0.2 -0.9 1.5 -0.6 0 1.1 0.1 -0.1 -0.1 2.4
2002 0.1 0 0.1 -0.3 0.1 -0.4 -1.1 0.1 -0.4 0.1 0.3 0.5 -1.1
2003 0.3 0.4 -0.3 0 -0.3 0.4 0.5 0.9 0.5 0.1 0.8 1.6 4.9
2004 -0.4 0.6 -1.2 -0.1 0.4 -1.6 0.4 1.4 0.5 -0.6 0.3 0.1 -0.2
2005 -0.6 -1.4 -1.7 -0.3 0.7 -1.2 0.5 1.1 -1.7 -0.3 2.5 0.1 -2.4
2006 3 -0.9 -0.4 0.3 1.6 0 -1.4 -3 -0.6 0.3 1.3 0.1 0.1
2007 -0.2 0.8 -0.6 -0.3 -0.5 0.2 -0.9 1.9 1.8 -2.8 -0.3 -0.1 -1
2008 -0.1 0.1 -1 -1.4 -0.5 -0.9 0.8 0.8 0.1 0.2 -0.5 0.9 -1.6
2009 -0.4 1.7 0.7 0.8 0.4 1.2 1 0.2 -1 -3.2 0.3 0 1.5
2010 -0.4 0.3 -0.1 0 -1.9 1.8 -0.2 -0.4 -0.9 -1.3 -0.2 0.7 -2.6
2011 1.1 -0.1 -0.5 0.5 -1.2 0.5 -0.1 -0.8 0.9 -0.2 0.8 0.4 1.2
2012 -2.6 -1 0.5 1.7 -0.1 0.3 -0.1 1.3 -0.3 0.2 0.7 2.4 2.9
2013 1.4 0.3 -0.5 0 0.3 -0.1 1.1 -2.9 -0.2 -1.4 0.5 -1.9 -3.3
2014 -0.6 3.3 -1.1 2.1 2.3 0.7 -2 1.4 -0.1 -0.8 -0.7 0 4.4
2015 0.4 0.3 -0.4 -0.1 -0.1 -0.1 0.1 -0.8 0.3 1.4 0.1 0.4 1.6
2016 0.2 0.1 1.8 0.2 0.1 0.6 -0.7 0 2.6 -0.9 -2.6 0.2 1.5
2017 -0.9 -0.5 0.1 0.3 0.1 0.2 0.6 0.1 0 0.1 -0.3 1.1 0.9
2018 0.2 0.1 2.2 -0.9 0.2 -0.1 -0.1 0.3 0.2 0 0.4 1 3.5
2019 0.5 0.2 -0.1 0 0.5 0 0.3 0.4 -0.1 0.8 0.2 0.4 3
2020 0 -1 -4.4 -0.2 1.7 -0.1 0.8 -0.9 1.7 -0.4 0.1 1.2 -1.6
2021 0.1 2.2 0.3 NA NA NA NA NA NA NA NA NA 2.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.7 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart